In "An Occurrence at Owl Creek Bridge," what point is Bierce making about the dangers of fantasy?

I had to change your question as you are not allowed to
ask multiple questions. Please remember in future to only ask one
question.

Does this story teach us the dangers of fantasy?
In what sense is the flight of fantasy that Peyton Farquhar embarks on dangerous? I am
not convinced that Bierce deliberately tries to present the hallucination that Farquhar
experiences in a negative fashion. After all, the protagonist is presented as acting
instinctively in the fact of death. There is no sense in which Peyton Farquhar is
choosing to live in a fantasy world, and I don't think we can detect that Bierce judges
his character for doing this. Rather, I feel that this story is an examination of the
psychology of someone facing inevitable death and shows us the kind of impact that death
has on someone in this situation. Note how, in Farquhar's case, the terror of death
distorts perceptions of time, heightens the senses and creates elaborate fantasies of
escape. Consider the following description of
Farquhar:

He
was now in full possession of his physical senses. They were, indeed, preternaturally
keen and alert. Something in the awful disturbance of his organic system had so exalted
and refined them that they made record of things never before
perceived.

Therefore, I have
to disagree with the crux of your question. Bierce is not trying to expose the dangers
of fantasy. This story acts as a psychological examination of the impact of inevitable
death on the human psyche.